On Sun, 28 Sep 2014, Arnab Dutta wrote:
Hi,
In order to have robust standard errors in R, what would be the command
that can generate results similar to the "robust" option in STATA?
This usually refers to sandwich standard errors aka HC or HC0 in case of
the linear regression model. These are available in package "car" or
package "sandwich". See vignette("sandwich", package = "sandwich") for a
detailed overview.
I tried using the "lmrob" command from the package "robustbase". With
that, the Adjusted R squared is quite different from the normal "lm"
command.
This performs robust estimation of the linear model while robust standard
errors employ the usual OLS estimation and just adjust the subsequent
inference. The robustness properties are quite different. While robust
standard errors still require that the linear equation for the conditional
mean holds for all observations, this is relaxed in robust estimates of
the regression coefficients. More details can be found in the reference of
the corresponding manuals.
This does not happen in STATA. Can anybody please enlighten me on this?
-Regards
Arnab
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